Python for Windows is compiled with MSVC and because of that it is not possible to compile extensions with MinGW/MSYS. The main problem is with CFFI (Common Foreign Function Interface) and most probably if you succeed with compiling, the lib will not work (will hang if trying to use its functions)

1. Download and install Python for Windows

2. Download and install Microsoft Visual C++ Compiler for Python 2.7

3. Install python setuptools (needed for MSVC++ Python) with pip:

C:> pip install setuptools

4. Download libsodium latest release with -msvc at the end. Unzip it in C:\work\libsodium-1.0.2-msvc

5. Go to C:\work\libsodium-1.0.2-msvc\Win32\Release\v120\dynamic and rename libsodium.lib to sodium.lib. On 64bit Windows use this dir: C:\work\libsodium-1.0.2-msvc\x64\Release\v120\dynamic